alleryStart learning →A portfolio has a one-day 5% VaR. About how often is a loss beyond VaR expected?
A1 day in 5
B1 day in 100
C1 day in 50
D1 day in 20
Answer & Solution
Correct answer: D. 1 day in 20
A 5% breach probability equals 1 in 20, so a loss of that size or more is expected on about one day out of every twenty.
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